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On the worst-case distribution in stochastic optimization problems with probability function

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Publication:1882169
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zbMath1072.90560MaRDI QIDQ1882169

A. I. Kibzun

Publication date: 19 October 2004

Published in: Automation and Remote Control (Search for Journal in Brave)



Mathematics Subject Classification ID

Stochastic programming (90C15)


Related Items (8)

Minimax linear estimation with the probability criterion under unimodal noise and bounded parameters ⋮ Comparison of the quantile and guaranteeing approaches to system analysis ⋮ Algorithm to solve the generalized Markowitz problem ⋮ Worst-case distribution analysis of stochastic programs ⋮ Two-sided probability bound for a symmetric unimodal random variable ⋮ A multivariate Chebyshev bound of the Selberg form ⋮ Optimal time substitution in a control process ⋮ A two-step capital variation model: optimization by different statistical criteria




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